"Stock Graphs for Hierarchical Risk Parity Portfolio" by Zé Vinícius, course tutorial, 2020

"Stock Graphs for Hierarchical Risk Parity Portfolio" by Zé Vinícius Cardoso, tutorial in course IEDA3180 - Data-Driven Portfolio Optimization, Spring 2019/20.
Papers on graph learning for finance:
Jiaxi Ying, José Vinícius de M. Cardoso, and Daniel P. Palomar, “Minimax Estimation of Laplacian Constrained Precision Matrices,” in Proc. of the 24th International Conference on Artificial Intelligence and Statistics (AISTATS), vol. 130, pp. 3736-3744, April 2021.
Jiaxi Ying, José Vinícius de M. Cardoso, and Daniel P. Palomar, “Nonconvex Sparse Graph Learning under Laplacian Constrained Graphical Model,” Advances in Neural Information Processing Systems (NeurIPS), Dec. 2020.
Sandeep Kumar, Jiaxi Ying, José Vinícius de M. Cardoso, and Daniel P. Palomar, “A Unified Framework For Structured Graph Learning Via Spectral Constraints,” Journal of Machine Learning Research (JMLR), 21(22): 1-60, Jan. 2020.
Sandeep Kumar, Jiaxi Ying, José Vinícius de M. Cardoso, and Daniel P. Palomar, “Structured Graph Learning Via Laplacian Spectral Constraints,” Advances in Neural Information Processing Systems (NeurIPS), Dec. 2019.
Software on learning graphs:
R package: Learning Graphs from Data via Spectral Constraints, cran.r-project.org/package=sp...
R package: Learning Sparse Graphs, github.com/mirca/sparseGraph
R package: Financial Graphs, github.com/mirca/fingraph
Paper on RPP:
Yiyong Feng and Daniel P. Palomar, “SCRIP: Successive Convex Optimization Methods for Risk Parity Portfolio Design,” IEEE Trans. on Signal Processing, vol. 63, no. 19, pp. 5285-5300, Oct. 2015.
Software:
github.com/convexfi
R package: cran.r-project.org/package=ri...
Python version: github.com/convexfi/riskparit...
The authors are with the Hong Kong University of Science and Technology (HKUST)
www.danielppalomar.com

[@youknowmyname12345]

How much improvement do you see with risk parity allocation over an equal-vol allocation?

[@metamorphosis8813]

can your R/Python packages change the objective risk measure to VaR?

[@abdjahdoiahdoai]

where can I learn more of these, risk parity portfolio or its graph version? Is there books/ lecture recommendation for these? Your signal processing book chapter 9 covers it, but I want even more 😂. Thanks in advance

[@Arm-if2yz]

look at Marco Lopez de prado work